Finite-dimensional quasi-linear risk-sensitive control

Systems and Control Letters

Volumn 25, Issue 2, 1995, Pages 151-157

  Aggoun, Lakhdar ^a   Bensoussan, Alain ^b   Elliott, Robert J ^c   Moore, John B ^d  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

^b INRIA ROCQUENCOURT   (France)

^c UNIVERSITY OF ALBERTA   (Canada)

^d AUSTRALIAN NATIONAL UNIVERSITY   (Australia)

Author keywords

Risk sensitive partially observed stochastic control: Finite dimensional information states

Indexed keywords

EXPONENTIAL RUNNING COST; FINITE DIMENSIONAL INFORMATION STATES; QUASI LINEAR DYNAMICS; RISK SENSITIVE CONTROL PROBLEM; ZAKAI EQUATION;

DISCRETE TIME CONTROL SYSTEMS; DYNAMICS; LINEAR CONTROL SYSTEMS; MATRIX ALGEBRA; NONLINEAR CONTROL SYSTEMS; NUMERICAL METHODS; OBSERVABILITY; OPTIMAL CONTROL SYSTEMS; PROBABILITY; RANDOM PROCESSES; SENSITIVITY ANALYSIS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0029305186     PISSN: 01676911     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6911(94)00073-5     Document Type: Article

References (10)

1. Optimal control of partially observable stochastic systems with an exponential-of-integral performance index
2. Stochastic calculus and applications
3. Risk sensitive optimal control and differential games
4. Optimal stochastic linear systems with exponential performance criteria and their relation to deterministic differential games
5. Asymptotic analysis of nonlinear stochastic risk-sensitive control and differential games
6. Risk sensitive control and dynamic games for partially observed discrete-time nonlinear systems
7. Risk-sensitive linear/quadratic/Gaussian control
8. A risk-sensitive maximum principle